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the failure of the conditional CAPM to capture the value premium. Our empirical tests confirm the model's predictions for …
Persistent link: https://www.econbiz.de/10012460863
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the failure of the conditional CAPM to capture the value premium. Our empirical tests confirm the model's predictions for …
Persistent link: https://www.econbiz.de/10014209887
the failure of the conditional CAPM to capture the value premium. Our empirical tests confirm the model's predictions for …
Persistent link: https://www.econbiz.de/10013111737
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This paper introduces a model-free decomposition of S&P 500 forward market index returns in terms of realized and implied dispersion, downside, and tail risk using option portfolios. The decomposition lends itself by construction to learn about the different sources of risk in the market return,...
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